the activity of RoMaDS at Tor Vergata (
https://www.mat.uniroma2.it/~rds/about.php) will start again
next week.
On Wednesday, October 26th,
at 14h00, Solesne
Bourguin (Boston University) will give a seminar about
"Regularity
of forward-backward SDEs via PDE techniques"
Abstract:
The
study of the regularity of the law of solutions to SDEs is an important and classical topic in stochastic analysis. This was for instance Malliavin's motivation for the development of the stochastic calculus of variations in order to prove a probabilistic
version of Hörmander's sum-of-squares theorem. The object of the present work is to study the regularity of solutions to forward-backward SDEs via a novel combination of the Malliavin calculus with PDE techniques such as backward uniqueness and strong unique
continuation. We obtain new conditions for the existence of densities of solutions to backward SDEs that not only include all existing results as particular cases, but also allow us to deal with multidimensional forward components. Applications to finance
and mathematical biology will be discussed if time permits.
The seminar will take place at Tor Vergata University and we encourage in-person partecipation. Should you unable to come, here is the link to the event
on Teams:
The seminar is part of the Excellence Project Math@TOV.
You can find a schedule with the next events at the following link: https://www.mat.uniroma2.it/~rds/events.php .